Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2617 |
| Annualized Std Dev | 0.4463 |
| Annualized Sharpe (Rf=0%) | -0.5865 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3002.0000 |
| NAs | 1.0000 |
| Minimum | -0.2062 |
| Quartile 1 | -0.0171 |
| Median | -0.0021 |
| Arithmetic Mean | -0.0008 |
| Geometric Mean | -0.0012 |
| Quartile 3 | 0.0157 |
| Maximum | 0.2017 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0018 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0008 |
| Stdev | 0.0281 |
| Skewness | -0.0183 |
| Kurtosis | 4.7413 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0197 |
| Gain Deviation | 0.0190 |
| Loss Deviation | 0.0188 |
| Downside Deviation (MAR=210%) | 0.0250 |
| Downside Deviation (Rf=0%) | 0.0202 |
| Downside Deviation (0%) | 0.0202 |
| Maximum Drawdown | 0.9910 |
| Historical VaR (95%) | -0.0426 |
| Historical ES (95%) | -0.0624 |
| Modified VaR (95%) | -0.0445 |
| Modified ES (95%) | -0.0686 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-06-11 | 2020-08-04 | NA | -0.9910 | 2965 | 2807 | NA |
| 2009-05-28 | 2009-05-29 | 2009-06-10 | -0.1394 | 10 | 2 | 8 |
| 2009-05-08 | 2009-05-14 | 2009-05-21 | -0.1152 | 10 | 5 | 5 |
| 2009-04-20 | 2009-04-20 | 2009-04-22 | -0.0534 | 3 | 1 | 2 |
| 2009-04-27 | 2009-04-27 | 2009-04-28 | -0.0203 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | 2.3 | 10 | 1.1 | -6.3 | 0.5 | -4.1 | -4.8 | 4 | 2.2 | 3.9 |
| 2010 | 3 | -0.3 | 1.1 | -3.6 | -2.2 | -0.5 | -4.7 | 6.8 | 1.5 | 1.1 | 6.4 | -3.4 | 4.5 |
| 2011 | 1.5 | -0.9 | -1.4 | -0.8 | -4 | 0.6 | -2.9 | -5.9 | -7.5 | -9.8 | 1.2 | -0.9 | -27.4 |
| 2012 | 3.3 | 2.7 | 4.9 | 1.5 | -7.1 | 3.9 | 1.4 | -3.5 | -1.1 | 1.5 | 0.9 | 5.1 | 13.6 |
| 2013 | 3.8 | -1.7 | -2.2 | -3.2 | 0.9 | -0.6 | 5.7 | 0.2 | 0.7 | 3.2 | -0.4 | 1.7 | 7.7 |
| 2014 | -1.8 | -0.5 | 2.7 | -2.9 | 0.2 | 2.5 | -2.3 | -0.3 | -5.7 | 0.9 | 1.7 | -0.7 | -6.4 |
| 2015 | -5.3 | -2.5 | -4 | 4.2 | 3.2 | 4.2 | -2.4 | -2 | -1.1 | -2.1 | -4 | -1.4 | -12.9 |
| 2016 | 0.8 | 4.8 | -1 | -1 | -1.1 | -4.4 | 3.1 | -0.3 | 2.4 | -0.1 | 3 | -0.8 | 5.1 |
| 2017 | 2 | 5.1 | -1 | 2.6 | 0.1 | 0.7 | -2.1 | 2.3 | -0.8 | -1.2 | -3.9 | -0.3 | 3.2 |
| 2018 | 4.2 | -2.1 | -1.7 | 1.2 | 1.5 | 1 | 2.3 | 0.7 | 2.2 | -0.2 | -1.1 | -1.4 | 6.7 |
| 2019 | 1.8 | 2.8 | 4.4 | -1.1 | -3.8 | 0.6 | -5.9 | -0.1 | -1 | 1.2 | 0.6 | 2.6 | 1.5 |
| 2020 | -2.6 | -7 | -4.7 | -2.4 | 2 | 0.6 | 0.2 | -3.5 | -1.1 | 3 | 4.7 | -0.5 | -11.3 |
| 2021 | -0.3 | 4.1 | -1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
